国内私募基金管理者特征的绩效影响研究
发布时间：2018-11-11 16:48
【摘要】：随着经济的发展,私募基金已发展成为我国资本市场上的主要机构投资者之一,当前有关私募基金的研究主要集中在与其相关的法规建设、监管制度等方面,而量化方面的研究却鲜有涉及,更别说是考察私募基金经理与基金业绩之间的关系了。由于私募基金经理是私募基金的直接操控者,对投资者而言,私募基金经理的重要性就毋庸置疑了,这正如西方市场上流行的一种说法:“买基金就是买基金经理”,那么什么样的私募基金经理能会投资者带来更多的回报呢?相信这是每一个投资者在投资私募基金时首要关注的问题,从这一角度从发,本文对私募基金经理的相关特征与基金业绩之间的关系进行量化研究,以对投资者投资私募基金提供参考。 研究私募基金经理的相关特征与基金业绩之间的关系,其前提是私募基金经理具有一定的投资管理才能(证券选择能力、市场时机把握能力),通过积极的运作,私募基金经理能够有效影响到基金的业绩,在这一前提下考察私募基金经理的相关特征与基金业绩之间的关系才具有价值。因此本文首先运用成熟的T-M模型、H-M模型等分别对61个样本基金进行实证分析,以检验国内私募基金经理的投资管理能力(证券选择能力、市场时机把握能力),结果显示,国内私募基金经理整体上具有一定的投资管理能力(主要表现为证券选择能力),这一结论为本文接下来考察私募基金经理特征与基金业绩的关系奠定了基础。 在上述研究的基础上,本文考察了私募基金经理相关特征(包括年龄、从业经验、毕业学校、学历、出身状况、海外背景、MBA学位、管理基金数量等)与基金业绩之间的关系,为使结论具有更好的代表性和可靠性,本文针对不同的市场行情,分上升和下降两个阶段对私募基金经理的相关特征与基金业绩之间的关系进行研究,系统考察私募基金经理相关特征状况对基金业绩的影响及在不同的市场条件下其对基金业绩影响的异同。实证结果表明:私募基金经理的年龄是影响基金业绩的一项因素,在一定从业经验的前提下,年轻的基金经理更适合私募投资这一职业;基金业绩与基金经理学历的高低并不成正比;名校毕业的基金经理更倾向于取得较好的业绩;正规出身的私募基金经理(公募出身、券商出身)更值得市场投资者的信任;从业经验和MBA在不同的市场行情下具有一致的差异性(市场下降阶段,对基金业绩的影响显著为正;市场上升阶段,对基金业绩的影响为负),表明具有系统的金融投资理论与实战经验的基金经理更倾向于理性投资而获得稳定的业绩。研究结果对投资者、监管当局均具有重要的启示意义。
[Abstract]:With the development of economy, private equity fund has developed into one of the main institutional investors in the capital market of our country. However, quantitative research is rarely involved, let alone examining the relationship between private equity managers and fund performance. Since private equity managers are direct manipulators of private equity funds, there is no doubt about the importance of private equity managers to investors, as is popular in Western markets: "buying funds is buying fund managers." So what kind of private equity managers can bring more returns to investors? It is believed that this is the primary concern of every investor when investing in private funds. From this perspective, this paper makes a quantitative study on the relationship between the relevant characteristics of private equity fund managers and the performance of private equity funds. To provide a reference for investors to invest in private funds. To study the relationship between the relevant characteristics of private equity fund managers and fund performance, the premise is that private equity managers have certain investment management ability (securities selection ability, market timing ability), through active operation, Private equity managers can effectively affect the performance of the fund, under this premise to investigate the relationship between the relevant characteristics of private equity fund managers and fund performance has value. Therefore, this paper first uses mature T-M model and H-M model to analyze 61 sample funds respectively to test the investment management ability of domestic private equity fund managers (securities selection ability, market timing ability). The results show that the domestic private equity managers as a whole have a certain ability of investment management (mainly the ability of securities selection). This conclusion lays a foundation for the next study of the relationship between the characteristics of private equity fund managers and fund performance. On the basis of the above research, this paper examines the relationship between the performance of private equity fund managers and the relevant characteristics (including age, employment experience, graduate school, education, background, overseas background, MBA degree, number of funds managed, etc.). In order to make the conclusion more representative and reliable, this paper studies the relationship between the related characteristics of private equity fund managers and fund performance in two stages of rising and falling according to different market conditions. This paper systematically investigates the influence of the relevant characteristics of private equity fund managers on fund performance and the similarities and differences of their effects on fund performance under different market conditions. The empirical results show that: the age of private equity managers is one of the factors that affect the performance of funds. Under the premise of certain experience, young fund managers are more suitable for private equity investment. The fund performance is not directly proportional to the fund manager's education; the fund manager who graduated from the famous school is more inclined to obtain better performance; the private equity fund manager with formal background (public offering background, securities firm origin) is more worthy of the trust of market investors; The employment experience and MBA have the same difference in different market prices (market decline stage, the impact on fund performance is significantly positive; At the stage of market rising, the influence on fund performance is negative, which indicates that fund managers with systematic financial investment theory and practical experience tend to invest rationally and obtain stable performance. The results of the study have important implications for investors and regulatory authorities.
【学位授予单位】：浙江财经学院
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224
[Abstract]:With the development of economy, private equity fund has developed into one of the main institutional investors in the capital market of our country. However, quantitative research is rarely involved, let alone examining the relationship between private equity managers and fund performance. Since private equity managers are direct manipulators of private equity funds, there is no doubt about the importance of private equity managers to investors, as is popular in Western markets: "buying funds is buying fund managers." So what kind of private equity managers can bring more returns to investors? It is believed that this is the primary concern of every investor when investing in private funds. From this perspective, this paper makes a quantitative study on the relationship between the relevant characteristics of private equity fund managers and the performance of private equity funds. To provide a reference for investors to invest in private funds. To study the relationship between the relevant characteristics of private equity fund managers and fund performance, the premise is that private equity managers have certain investment management ability (securities selection ability, market timing ability), through active operation, Private equity managers can effectively affect the performance of the fund, under this premise to investigate the relationship between the relevant characteristics of private equity fund managers and fund performance has value. Therefore, this paper first uses mature T-M model and H-M model to analyze 61 sample funds respectively to test the investment management ability of domestic private equity fund managers (securities selection ability, market timing ability). The results show that the domestic private equity managers as a whole have a certain ability of investment management (mainly the ability of securities selection). This conclusion lays a foundation for the next study of the relationship between the characteristics of private equity fund managers and fund performance. On the basis of the above research, this paper examines the relationship between the performance of private equity fund managers and the relevant characteristics (including age, employment experience, graduate school, education, background, overseas background, MBA degree, number of funds managed, etc.). In order to make the conclusion more representative and reliable, this paper studies the relationship between the related characteristics of private equity fund managers and fund performance in two stages of rising and falling according to different market conditions. This paper systematically investigates the influence of the relevant characteristics of private equity fund managers on fund performance and the similarities and differences of their effects on fund performance under different market conditions. The empirical results show that: the age of private equity managers is one of the factors that affect the performance of funds. Under the premise of certain experience, young fund managers are more suitable for private equity investment. The fund performance is not directly proportional to the fund manager's education; the fund manager who graduated from the famous school is more inclined to obtain better performance; the private equity fund manager with formal background (public offering background, securities firm origin) is more worthy of the trust of market investors; The employment experience and MBA have the same difference in different market prices (market decline stage, the impact on fund performance is significantly positive; At the stage of market rising, the influence on fund performance is negative, which indicates that fund managers with systematic financial investment theory and practical experience tend to invest rationally and obtain stable performance. The results of the study have important implications for investors and regulatory authorities.
【学位授予单位】：浙江财经学院
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224
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